[R] Forecast GARCH model

[Liviu Andronic]

Hello,
There was a recent discussion "[R] Predict GARCH" [1].
Liviu

[1] http://www.nabble.com/Predict-GARCH-td23962363.html#a23962363

On Tue, Jun 23, 2009 at 1:02 PM, Ana Ramos<aritaramos at gmail.com> wrote:
> Hi,
>
> I've fitted a GARCH(1,1) for the residuals of my time serie (X).
> X is an ARMA(1,1) process.
> Now I want to do a n-step forecast for X, knowing these processes. How can I
> do this?
> I know that there's a command:
>
> predict() for ARIMA processes and so on, but what about GARCH?
>
> I've got:
>
> arma=arima(x, order=c(1,0,1))
> (...)
> garch11<-garch(residuals(x),order = c(1, 1))
> summary(garch11)
>
> How can I forecast the conditional variance and my serie X?
>
> Many thanks
> Ana
>
>        [[alternative HTML version deleted]]
>
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